Change point analysis of a Gaussian model

DOI10.1007/BF02929878zbMath0937.62023MaRDI QIDQ1297656

Jie Chen, Arjun K. Gupta

Publication date: 12 September 1999

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

information criterionchange pointSICunbiased SIC

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (6)

ON CHANGE POINT DETECTION AND ESTIMATION ⋮ Testing for a change point in a sequence of exponential random variables with repeated values ⋮ Cumulative sum estimator for change-point in panel data ⋮ A Bayesian approach to inference about a change point model with application to DNA copy number experimental data ⋮ Confidence distributions for skew normal change-point model based on modified information criterion ⋮ Robust mean change-point detecting through Laplace linear regression using EM algorithm

Cites Work

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• The maximum likelihood method for testing changes in the parameters of normal observations
• Estimating the dimension of a model
• Detecting changes of mean in multidimensional normal sequences with applications to literature and geology
• Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
• Some One-Sided Tests for Change in Level
• Further analysis of the data by Akaike's information criterion and the finite corrections
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Likelihood procedure for testing change point hypothesis for multivariate Gaussian model
• On the Likelihood Ratio Test for a Shift in Location of Normal Populations

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